Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

DOI10.1007/978-3-642-41095-6_16zbMath1302.65026OpenAlexW164361892MaRDI QIDQ2926224

Lukasz Szpruch, Michael B. Giles

Publication date: 31 October 2014

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-41095-6_16

zbMATH Keywords

computational complexityconvergenceBrownian motionstochastic differential equationsLévy areasantithetic multilevel Monte Carlo estimatorsfinancial European and Asian put and call options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20)

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Central limit theorem for the antithetic multilevel Monte Carlo method ⋮ Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations ⋮ Multi-index antithetic stochastic gradient algorithm ⋮ Multilevel Monte Carlo simulation of Coulomb collisions ⋮ Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices ⋮ A continuation multilevel Monte Carlo algorithm

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